导　　师： 隋广军

学科专业： 020105

授予学位： 硕士

作　　者： ;

机构地区： 广东外语外贸大学

摘　　要： 我国大部分地区自然灾害发生频繁，其中近一半的城市分布在地震带上，近2//3的国土面积受到不同程度的洪水威胁。作为世界上受台风影响较严重的国家之一，我国沿海地区经常遭受台风袭击。台风灾害的频繁发生，使市场对保险公司承保能力的需求大大提高。随着我国社会经济的高速发展，人口密度的不断增加，巨灾为我国带来的经济损失愈来愈大。目前，由于经济条件的限制以及保险认可程度仍旧不高，我国保险覆盖面积小、投保率低，且针对各类灾害的险种寥寥无几，在绝大多数情况下，巨灾造成的损失及灾后重建工作都需依靠政府财政支出，却仅仅能保证最低限度的救助。因此，对于巨灾的防控以及事后的救灾补偿机制显得格外重要。 近二十年，发达国家应对巨灾风险的做法是：发生中小型灾难时，由商业保险公司承担大部分损失；而对于重大自然灾害，则由再保险公司或由资本市场承担大部分损失；如果发生罕见的自然巨灾损失，金融业无力提供足够保障时，政府才成为最后的保险人。基于这样的理念，巨灾风险证券化在近年来发展迅速，巨灾风险证券化在国际市场上已经成为分散巨灾风险的有效途径，其中巨灾债券最为成熟，也是应用最广泛的巨灾风险证券化产品。无论是从发行规模还是发展速度来看，巨灾债券都取得了较大的突破，特别是在一些发达国家和地区，巨灾债券已然成为再保险转移巨灾风险的重要渠道。由于巨灾债券在分散风险、补偿损失方面独具优势，它不仅可以使被保险人能够在灾后获得重建资金，以此缓解保险市场的压力，又能让资本市场上的投资者获得债券投资收益，活跃资本市场的发展，无疑是目前最适合我国发展的风险衍生品种。 本文在系统回顾前人对巨灾债券研究的基础上，梳理和总结了巨灾债券的产生和发展过程，巨灾债券的运行机制以及巨灾产品的各项特点。在阐述了日本巨灾债券发展历程及在美国巨灾债券的经典案例的基础上提出对我国发展巨灾债券的意义所在以及目前存在问题。通过收集1993年至2010年登陆我国台风的灾害数据，运用Wang两因素模型对其经验分布进行调整，从而得出一年期我国台风债券在各触发点时本金有保障型及本金无保障型的债券价格，以期对我国推出巨灾债券提供相应的理论支持。最后对我国发展巨灾债券提出了相应政策建议。 Natural disasters occur frequently in most parts of China, nearly half of the citieslocate in earthquake zones and nearly2//3of the areas are subject to varying degreesof flood threat. As one of the countries which is seriously affected by the typhoon inthe world, China's coastal areas are often suffer from typhoons attacks. With the rapideconomic development of our society and the increasing population density, economiclosses caused by catastrophe for our country are getting bigger and bigger. Currently,due to limited economic conditions, low acceptable level of insurance, small size ofthe insurance coverage, low insured and few types of disasters insurance, in mostcases, losses and reconstruction need to rely on government expenditure, but just to beable to guarantee the minimum relief. Therefore, for the prevention and control andthe subsequent catastrophe relief compensation mechanism is particularly important. Nearly two decades, in global market, if small or medium-sized disaster occurs,commercial insurance companies bear most of the losses. If big natural disaster occurs,most of the losses will be bear by the reinsurance company or by the capital market.The government becomes the last insurer only when rare catastrophe for that. Basedon this concept, in recent years, catastrophe risk securization is developing rapidly. Ithas become an effective way to disperse catastrophic risk in global market.Catastrophe bond is the most widely acceptable of catastrophe risk securizationproducts. Catastrophe bonds has unique advantage in risk diversification andcompensation for losses, it allows not only the insured to be able to get in thepost-disaster reconstruction funds, in order to ease the pressure on the insurancemarket, but also enable investors in the capital market for bond investment incomeactive in the development of the capital market, therefore, it is the most suitedderivative products to China. The article has reviewed the former research of catastrophe bond, analyzedcatastrophe bond's generation and development process, transaction mechanism aswell as successful catastrophe bond case study. This article collects typhoons disasterdata between1993and2010which happened in China and uses Wang two-factormodel on the empirical distribution adjustment. These analyses show that differenttrigger point of one-year typhoon bonds in China, in order to provide theoreticalsupport for issuing catastrophe bonds.

关 键 词： 巨灾债券 台风债券 两因素模型 触发点

分 类 号： [F832.51]

领　　域： [经济管理]